EconPapers    
Economics at your fingertips  
 

Cointegration, long-run structural modelling and weak exogeneity: Two models of the UK economy

Jan Jacobs () and Kenneth Wallis ()

Journal of Econometrics, 2010, vol. 158, issue 1, 108-116

Abstract: Cointegration ideas as introduced by Granger in 1981 are commonly embodied in empirical macroeconomic modelling through the vector error correction model (VECM). It has become common practice in these models to treat some variables as weakly exogenous, resulting in conditional VECMs. This paper studies the consequences of different approaches to weak exogeneity for the dynamic properties of such models, in the context of two models of the UK economy, one a national-economy model, the other the UK submodel of a global model. Impulse response and common trend analyses are shown to be sensitive to these assumptions and other specification choices.

Keywords: Cointegration; Macroeconometric; modelling; Vector; error; correction; model; Impulse; response; analysis; Weak; exogeneity (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4076(10)00059-X
Full text for ScienceDirect subscribers only

Related works:
Working Paper: COINTEGRATION, LONG-RUN STRUCTURAL MODELLING AND WEAK EXOGENEITY: TWO MODELS OF THE UK ECONOMY (2007) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:158:y:2010:i:1:p:108-116

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-06-07
Handle: RePEc:eee:econom:v:158:y:2010:i:1:p:108-116